Thursday, October 08, 2009

If You Build It They Will Come, An Apama Algo Webinar

IF You Build It They Will ComeMy colleague Dan Hubscher and I just finished the first of a two part Webinar entitled "Build Quickly, Run Fast".
In this Webinar we explained and demonstrated Apama as
an Algo platform for high frequency and order execution algorithms.

As I've blogged in the recent past it is an arms race
in High Frequency trading. The need to build quickly is a
demanding requirement to keep ahead in the race. Being armed with the
right tools is paramount. Rapid development and customization of
strategies using graphical modeling tools provides the leverage
necessary to keep pace with fast moving markets.

To that point, in this webinar I demonstrated a couple of algo
examples. The first was a complete strategy that incorporates an alpha
element with multiple order execution options. In designing and
building strategies the trading signal detection is just the first part
of the problem. This typically involves an analytic calculation over
the incoming market data within some segment or window of time. For
example a moving average calculation smooths out the peaks and
valleys or the volatility of an instrument's price. Once the signal is
detected it's time to trade and manage the order's executions. This is
a key distinction between other CEP products and the Apama platform for
building trading strategies. While it's possible to define an Event Flow
in most or all CEP products for data enrichment and data analysis (i.e.
the signal detection), for most other CEP products you have to switch
out to some other environment & language to build the rules to
manage the executions. The Apama platform is about building complete
event-driven applications. So
trade signal detection and order executions, whether it's a simple
iceberg execution or something much more complex it can easily be
designed, built and backtested in the same Apama graphical modeling
environment (Of course for those more inclined to traditional
development tools and methodologies, Apama offers a full suite of
developer tools, an EPL, debugger, profiler and java support).

The second example in the Webinar demonstration was to build a small,
but working strategy from scratch. I did this live in full view of
the attendees. For this I did a basic price momentum strategy. This
tracked the velocity of price movements. The trading signal was a
parameterized threshold which indicated when that price moved up (or
down) a specific amount for a specific duration.

This webinar is focused on highlighting the ever-present challenges investment firms face in high frequency trading:

Fears of the Black Box

The simple fact that markets are continually evolving

First Mover Advantage

Customization is king

Along with my colleague Dan Hubscher, the Build Quickly
webinar describes how the Apama platform delivers solutions to the
Capital Markets industry to meeting these needs and challenges.

Stay tuned for a link to the recording and don't forget to dial in to part II
where we focus on performance requirements and characteristics.
Again thanks for reading (plus watching the webinar), you can also
follow me at twitter, here.